On controlled linear diffusions with delay in a model of optimal advertising under uncertainty with memory effects (Q1035927)
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English | On controlled linear diffusions with delay in a model of optimal advertising under uncertainty with memory effects |
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On controlled linear diffusions with delay in a model of optimal advertising under uncertainty with memory effects (English)
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4 November 2009
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Advertising models allowing for delay effects under uncertainty are studied in the framework of stochastic differential equations with delay entering both the sate and the control variable. Here, qualitative properties of the value function, such as convexity, monotonicity with respect to initial conditions, smoothness, are considered. For special choices of the reward and cost function, explicit characterizations of the value function and optimal state-control pair are obtained. Moreover, the case of distributed forgetting in the absence of advertising carryover is studied.
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stochastic control problems with delay
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dynamic programming
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infinite-dimensional Bellman equations
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optimal advertising
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